Risk Management

Pace Global has been successful at providing risk management advisory services to municipal and investor-owned utilities, end users, energy marketing and trading and other participants for over 20 years. We offer program design and assessment services to help clients meet their business objectives. We simulate recommended strategies with great rigor and bring a best practice perspective to our clients’ risk management programs.

Through “The Power of Integration”, we offer expert advice and support in the following areas:

Simulates the performance of one or a set of contemplated incremental hedge positons on a defined portfolio’s hedge performance, including hedge cost, risk exposure, P&L range of outcomes and program compliance

Credit Exposure Simulator

Simulates the credit risk exposure associated with an existing or scenario-based set of counterparty positons relative to defined risk and collateral limits

Performs the valuation of a gas storage asset using monte-carlo based risk assessment of price differentials. The model simulated forward and spot market price curves and determines the following values:
a) Intrinsic,
b) Extrinsic and
c) Additional values such as ancillary services etc.

Real-Options Approach to Gas Generators Valuations

Models the economic dispatch of gas fired generation assets based on “Sparkspread”, calculates all costs and revenue line items and itemizes the cash-flow statement and estimates the Cash-flows as Risk (CFaR). This monte-carlo based model can also be used to perform asset valuation (Margins and Margins-at-Risk), taking into account not only the fuel costs, but also variables and emissions costs.

Converts expert-opinion based long-term point forecasts of costs/prices to probability distributions using Z-Scores and percentiles; and provides a distribution of costs/prices variable for long-term planning and reliability studies.

Performs a fair-market valuation of power purchase agreements between an energy supplier and a consumer, based on fized contract costs and other contract terms and consitios; the model is based on a stochastic assessment of market energy prices and generates a risk profile for cash-flows to focus on CFaR from such contracts.

Zonal to Nodal Power Price Models

Converts a distribution of nodal market energy prices to zonal market prices, by performing statistical sampling of historical price differentials to quantify costs due to the congestion and loss component (in LMP). The nodal prices are then used to improve the accuracy of generator asset valuations.

Costless Collar Option - Floor and Ceiling Prices

Models the commodity prices based on monte-carlo techniques and then performs a solver functionality to arrive at different ranges of “floor and ceiling” strike prices to structure a costless collar (Sell a put to finance buying a call) for commodity suppliers.

GARCH

Implements a auto-regressive conditional heteroskedastic model for very short-term price/demand evolutions based on historical behavior patterns.

Delta-Hedging

Simulates a delta-hedging strategy for a generator asset by taking positions in forward and spot markets, with the key objectives of:
a) minimizig the variance in payoff distributions, and
b) maximizing the payoffs.

Hist VaR and VaR to Expiry

Performs GBM / Mean-reversion based commodity price simulations to calculate historical holding-period VaR and VaR to expiry calculations for short and medium term contract expiries.

LOLE (Loss of Load Estimation)

Calculates the probability of lost load (i.e. load that cannot be served by the existing capacity), by performing a monte-carlo simulation on key parameters such as a plant’s MTTR (Mean-time to Repair), outage probability distributions etc.